Number {#}4 shot has been recommended in some shooting magazines for home defense, since it has been reported to penetrate {at a certain distance?} only one sheet of drywall. If you're concerned about drywall penetration without fortifying the whole house...forget the buckshot and use #4.
2 layers of 3/4 plywood, always avalible ,even used, keep an eye on craigslist in the free section,1/8 sheet steel, not too expensive or heavy, and 00 buck wont penetrate, use 3/4 plywood in front to slow it down and stop ricochets.